货币政策信贷传导的银行风险承担机制——基于抵押贷款视角的计量分析

Bank Risk Bearing Mechanism for Credit Transmission of Monetary Policy——An Econometric Analysis Based on the Perspective of Mortgage Loan

基于2012—2019年沪深A股上市公司和商业银行贷款数据,研究货币政策冲击下银行和公司的风险承担对商业银行信贷供应的影响,以及抵押贷款合约在银行风险承担渠道中发挥的作用。研究发现,货币政策收紧时,高杠杆水平的银行会降低信贷供应量并抬高贷款利率;国有或非国有企业贷款时提供抵押质押物,均能获取更多的贷款,但非国有企业的贷款利率更高;对于不同贷款类型,银行会减少国有企业质押贷款合约的信贷供应量和提高信用贷款合约的贷款利率,同时提高非国有企业质押贷款合约的信贷供应量和降低信用贷款的贷款利率。因此,银行一方面应防止部分经营恶劣公司的“绑架行为”,同时应完善有关资产定价部门的相关规定,积极提升资产定价部门对企业动产及不动产的定价能力。

Based on loan data of Shanghai and Shenzhen A-share listed companies and commercial banks from 2012 to 2019,this paper aims to study the influence of banks’ and companies’ risk taking on credit supply of commercial banks under the impact of monetary policy and the role that mortgage contract plays in banks’ risk-taking channels.It is found that highly leveraged banks will reduce credit supply and raise loan rates in face of tight monetary policy.Both state-owned or non-state-owned enterprises are able to obtain more loans through providing collateral,but non-state-owned enterprises have higher loan rates.With regard to various loan types,banks reduce credit supply of pledge loan contracts and raise loan rates of the credit loan contracts for state-owned enterprise,while boosting credit supply of pledged loan contracts as well as lowering the loan rates of credit loans for non-state-owned enterprises.Therefore,not only should banks prevent “kidnapping” by some vicious companies,but they also are supposed to improve the relevant rules set by the asset pricing department,and further enhance the asset pricing department’s ability to price chattel and real estate of enterprises.